sentimenTrader Blog


2017-05-25 | Jason Goepfert | Comments

In the Report on Thursday, we took a look at the oddly low amount of volume flowing into securities on the NYSE for a day the S&P 500 rallied to a new high. One of the issues with using NYSE breadth is that it’s impacted by issues that have nothing to do with the S&P […]

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2017-05-25 | Jason Goepfert | Comments

It’s hard to not be suspicious of using price-based patterns when we seem to be continually seeing violations of prior historical patterns. It’s entirely possible that the rise of quant-based trading has rendered many of these patterns unusable, either because they’ve been discovered and traded upon, or simply changed the dynamics underlying price activity. This […]

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2017-05-23 | Jason Goepfert | Comments

Stocks are struggling to hold modest gains. Ranges are contracting and volume is sagging. Same as yesterday – historically, this has been a negative pattern for future short-term returns, but it’s hard to know just how much we can rely on these given this:   Low Vol, Again Bloomberg is out with an article similar […]

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2017-05-22 | Jason Goepfert | Comments

Stocks are recording another up day, on lower volume and with a smaller range. Maybe all of the quant folks have made patterns like this useless – they have certainly seemed to lose some effectiveness in recent years – but this is a classic rebound pattern from a large loss. Historically, there has been an […]

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2017-05-09 | Eric Brown | Comments

Currently, there are 7 Stock indicators at Pessimistic Extremes and 39 Stock indicators at Optimistic Extremes.

The tables below display stock market indicators that are at Very Optimistic, Extremely Optimistic, Very Pessimistic or Extremely Pessimistic levels. Note: These tables contain only indicators from the Stocks section of the site. For the tables below, you can click through to each chart by clicking on the Chart name.

Pessimistic Extremes

Chart Last Close Last Update Sentiment
Number of IPOs
9.0
2017-02-28
Insider Buy/Sell Seasonally Adj
0.75
2017-05-05
Rydex Energy Assets
29.6
2017-05-08
Rydex Energy Services Assets
16.3
2017-05-08
Small Spec Index Position
-3.12
2017-05-02
Volatility ETF Fund Flow
-0.058
2017-05-08
DIA Open Interest Ratio
0.7233
2017-05-08

Optimistic Extremes

Chart Last Close Last Update Sentiment
AIM (Advisor and Investor Model)
71.0
2017-05-06
% Showing Excess Optimism
38.0
2017-05-08
VIX
9.77
2017-05-08
VIX Term Structure
0.78
2017-05-08
VXN (Nasdaq 100 Volatility Index)
11.86
2017-05-08
Options Speculation Index
120.0
2017-05-05
SPY Liquidity Premium
-25.0
2017-05-08
NYSE High/Low Ratio
82.0
2017-05-08
Risk Appetite Index
97.0
2017-05-03
Equities as % of GDP
1.205
2016-12-30
NASDAQ 100 Combo Hedgers Position
-23524600000.0
2017-05-02
DJIA Hedgers Position
-31476.0
2017-05-02
DJIA Mini Hedgers Position
-62952.0
2017-05-02
DJIA Combo Hedgers Position
-13188400000.0
2017-05-02
Odd Lot Purchase Percentage
67.2502
2017-05-05
NAAIM Exposure Index
82.4
2017-05-03
Mutual Fund Cash Level
3.2
2017-03-31
Equity / Money Market Asset Ratio
4.51
2017-03-31
Retail Money Market Ratio
2.62
2017-04-17
NYSE Available Cash
-231261.0
2017-03-31
Rydex Ratio
52.0
2017-05-08
Rydex Money Market %
17.0
2017-05-08
Rydex Total Bull Assets
1532.2
2017-05-08
Rydex Total Bear Assets
148.8
2017-05-08
Rydex Total Bull / Bear Ratio
10.3
2017-05-08
Rydex Banking Assets
57.5
2017-05-08
Rydex Biotechnology Assets
329.9
2017-05-08
Rydex Consumer Products Assets
319.3
2017-05-08
Rydex Financial Services Assets
44.9
2017-05-08
Rydex Leisure Assets
72.6
2017-05-08
Rydex Technology Assets
92.4
2017-05-08
Conference Board – Stocks
18.7
2017-04-28
% Showing Excess Optimism-Pessimism Spread
0.33
2017-05-08
Fund Flow – ETF Total
15080.0
2017-04-26
Fund Flow – ETF Domestic
13255.0
2017-04-26
Fund Flow – Combined Total
11601.0
2017-04-26
Fund Flow – Combined Domestic
6757.0
2017-04-26
Fund Flow – Combined World
4844.0
2017-04-26
Rydex Total Leveraged Bear Assets
55.1
2017-05-08

2017-05-04 | Eric Brown | Comments

Currently, there are 4 Stock indicators at Pessimistic Extremes and 32 Stock indicators at Optimistic Extremes.

The tables below display stock market indicators that are at Very Optimistic, Extremely Optimistic, Very Pessimistic or Extremely Pessimistic levels. Note: These tables contain only indicators from the Stocks section of the site. For the tables below, you can click through to each chart by clicking on the Chart name.

Pessimistic Extremes

Chart Last Close Last Update Sentiment
Number of IPOs
9.0
2017-02-28
Rydex Energy Services Assets
14.3
2017-05-03
Rydex Japan Assets
3.0
2017-05-03
DIA Open Interest Ratio
0.6908
2017-05-03

Optimistic Extremes

Chart Last Close Last Update Sentiment
STEM.MR Model
78.0
2017-05-03
VIX
10.68
2017-05-03
VXN (Nasdaq 100 Volatility Index)
11.98
2017-05-03
AAII Allocation – Cash
15.5
2017-03-31
Risk Appetite Index
93.0
2017-04-27
Equities as % of GDP
1.205
2016-12-30
Hedgers Combo
15.0
2017-04-25
NASDAQ 100 Combo Hedgers Position
-25203500000.0
2017-04-25
DJIA Hedgers Position
-33520.0
2017-04-25
DJIA Mini Hedgers Position
-67040.0
2017-04-25
DJIA Combo Hedgers Position
-14075800000.0
2017-04-25
Odd Lot Purchase Percentage
65.5788
2017-05-02
NAAIM Exposure Index
89.7
2017-04-26
Mutual Fund Cash Level
3.2
2017-03-31
Equity / Money Market Asset Ratio
4.51
2017-03-31
Retail Money Market Ratio
2.62
2017-04-17
NYSE Available Cash
-231261.0
2017-03-31
Penny Stock Transaction Volume
5265.0
2017-02-28
Rydex Ratio
53.0
2017-05-03
Rydex Money Market %
17.0
2017-05-03
Rydex Total Bull Assets
1508.9
2017-05-03
Rydex Total Bull / Bear Ratio
9.8
2017-05-03
Rydex Banking Assets
43.6
2017-05-03
Rydex Biotechnology Assets
340.7
2017-05-03
Rydex Consumer Products Assets
317.5
2017-05-03
Rydex Financial Services Assets
45.0
2017-05-03
Rydex Leisure Assets
67.0
2017-05-03
Rydex Technology Assets
91.0
2017-05-03
Conference Board – Stocks
18.7
2017-04-28
Volatility ETF Fund Flow
0.064
2017-04-25
% Showing Excess Optimism-Pessimism Spread
0.28
2017-05-03
Rydex Total Leveraged Bear Assets
58.4
2017-05-03

2017-04-26 | Eric Brown | Comments

Currently, there are 8 Stock indicators at Pessimistic Extremes and 41 Stock indicators at Optimistic Extremes.

The tables below display stock market indicators that are at Very Optimistic, Extremely Optimistic, Very Pessimistic or Extremely Pessimistic levels. Note: These tables contain only indicators from the Stocks section of the site. For the tables below, you can click through to each chart by clicking on the Chart name.

Pessimistic Extremes

Chart Last Close Last Update Sentiment
Russell 2000 Mini Hedgers Position
66114.0
2017-04-18
Number of IPOs
9.0
2017-02-28
Insider Buy/Sell Seasonally Adj
0.83
2017-04-21
Rydex Energy Assets
32.8
2017-04-25
Rydex Energy Services Assets
14.9
2017-04-25
Rydex Japan Assets
2.8
2017-04-25
Volatility ETF Fund Flow
-0.159
2017-04-17
DIA Open Interest Ratio
0.7664
2017-04-25

Optimistic Extremes

Chart Last Close Last Update Sentiment
SPY Optix
83.0
2017-04-25
IWM Optix
86.0
2017-04-25
QQQ Optix
85.0
2017-04-25
DIA Optix
89.0
2017-04-25
VIX
10.76
2017-04-25
CSFB Fear Barometer
37.82
2017-04-21
VXN (Nasdaq 100 Volatility Index)
12.01
2017-04-25
SKEW Index
144.5
2017-04-24
NYSE High/Low Ratio
95.0
2017-04-25
NASDAQ High/Low Ratio
88.0
2017-04-25
NASDAQ 100 Down Pressure
14.7758
2017-04-25
AAII Allocation – Cash
15.5
2017-03-31
Equities as % of GDP
1.205
2016-12-30
Hedgers Combo
15.0
2017-04-18
NASDAQ 100 Combo Hedgers Position
-22778600000.0
2017-04-18
DJIA Hedgers Position
-35493.0
2017-04-18
DJIA Mini Hedgers Position
-70987.0
2017-04-18
DJIA Combo Hedgers Position
-14568800000.0
2017-04-18
Odd Lot Purchase Percentage
66.4068
2017-04-24
Mutual Fund Cash Level
3.2
2017-02-28
Equity / Money Market Asset Ratio
4.44
2017-02-28
Retail Money Market Ratio
2.49
2017-03-06
NYSE Available Cash
-224894.0
2017-02-28
Penny Stock Transaction Volume
5265.0
2017-02-28
Rydex Ratio
51.0
2017-04-25
Rydex Money Market %
19.0
2017-04-25
Rydex Total Bull Assets
1510.3
2017-04-25
Rydex Total Bull / Bear Ratio
9.9
2017-04-25
Rydex Banking Assets
53.0
2017-04-25
Rydex Biotechnology Assets
322.3
2017-04-25
Rydex Consumer Products Assets
349.3
2017-04-25
Rydex Financial Services Assets
56.9
2017-04-25
Rydex Leisure Assets
52.6
2017-04-25
Rydex Technology Assets
73.0
2017-04-25
Conference Board – Stocks
27.1
2017-03-31
University of Michigan – Stocks
62.6
2017-03-31
Fund Flow – Combined World
5767.0
2017-04-12
Short-Term Risk Levels
6.0
2017-04-25
Rydex Total Leveraged Bear Assets
52.8
2017-04-25
Consumer Confidence – Stocks Up
47.4
2017-03-31
Consumer Confidence – Stocks Down
20.3
2017-03-31

2017-04-24 | Jason Goepfert | Comments

With apparent relief over French election results, stocks are showing large gains pre-market. More notably, volatility is collapsing.

At the moment, the VIX “fear gauge” is on track to open lower by 10% – 15%, triggering one of its largest opening implosions in 30 years.

Assuming it opens on the lower end of its pre-market range, let’s take a look at how it performed after its other largest opening gaps lower:

Most of the time, the open market about the low for the day. During the regular session, it rose 9 out of 11 times. Over very short-term, the risk/reward was heavily skewed to the upside, meaning that the vast majority of any decline in volatility expectations was already baked in at the open.

The only dates when this kind of gap occurred when the VIX was already below 15 were in November 1993 and January 2013. In ’93, the VIX soared in the day(s) ahead, while in ’13, it drifted lower.

In terms of the volatility implosion’s impact on stocks, the following table shows returns in S&P 500 futures after those same dates:

Mostly positive, especially over the next 3-4 days. The mean return was skewed higher by the October 1987 rally, so overall returns weren’t great. But the risk/reward was about 2-to-1 to the positive, and had 8 winners out of the 11 attempts.

So even though the vast bulk of the relief is probably already baked into the VIX, these kinds of overnight relaxations have been mostly good for stocks in the short-term, even assuming a big positive open for the S&P.


2017-04-19 | Eric Brown | Comments

A few months ago we added a few indicators based on how many components of the S&P 1500 have RSI values below 30 and above 70.   You can find these indicators here:

This morning, I took at a look at the % S&P 1500 RSI 2-day < 30 indicator to see if I could build an interesting strategy with it. Turns out, my ‘simple extreme buy/sell’ approach that I’ve shared a number of times before works pretty well.

Strategy Description

  • Trading vehicle: S&P 500 ETF (SPY)
  • Start Date: Jan 3 2005
  • End Date: April 17 2017
  • Initial Cash: $100,000
  • No margin
  • Commission is $0.01 per share
  • Entry rules:
    • Buy when the % S&P 1500 RSI 2-day < 30 is >= 70% (meaning that 70% of S&P 1500 components have a 2-day RSI less than 30).
    • The day after a buy signal is given, buy at the open with a market order
    • Each position is “all-in”, meaning we buy as much as our cash balance allows
    • No stop
  • Exit rules:
    • Sell when the % S&P 1500 RSI 2-day > 70 indicator is >= 50% (meaning that 50% of S&P 1500 components have a 2-day RSI greater than 70). While the ‘extreme’ of this indicator is 70%, I chose 50% as a means to try to remove get out of the position before any large selloff might occur.
    • The day after a sell signal is given, sell at the open with a market order

Strategy Results

  • Annual Return is 6.54%
  • There were 72 total trades with 79% of those trades profitable.
  •  The average time-in-trade is 8 days with the median time-in-trade is 7 days.
  • Average return of each trade is 1.06%. Median return of each trade is 1.50%
  • The backtest was run over 124 months with 28 months left out for out-of-sample testing.

The out-of-sample performance isn’t quite as good as the in-sample performance , which I suspect has to do with volatility during this time-frame (but would be open to other interpretations).

Additional trade stats/charts provided below. The annual return values in Table 1 are decimal values, rather than %’s – multiple by 100 to get actual annual return %’s.

Performance Statistics

Table 1: Performance Statistics (decimal values, not percentages)

Drawdown Information

Table 2: Drawdown Information

Performance Charts

Figure 1: Performance Charts


2017-04-17 | Eric Brown | Comments

Over the weekend, we added two new screens to the site.  These screens are highlighted below. They can be found under the “Sector & Country ETF’s -> Screens” menu.

ETF Sector Component Moving Average Screen

The first is an ETF Sector Component Moving Average Screen. This screen looks at those sectors that have components trading higher (or lower) than their 200-day moving average and higher (or lower) than their 10-day moving average.

 Screen details:

  • Sector ETF’s with more than 50% of components trading higher than their 200-day moving average AND fewer than 20% of components trading higher than their 10-day moving average. This shows short-term oversold conditions in generally healthy trends. These are highlighted in Green.
  • Sector ETF’s with less than 50% of components trading higher than their 200-day moving average AND more than 90% of components trading higher than their 10-day moving average. This shows short-term selling opportunities. These are highlighted in Red.

The screen results for April 13 2017 is shown in Figure 1.

ETF Sector Component Moving Average Screen

Figure 1: ETF Sector Component Moving Average Screen

 

Optix Exhaustion Screen

The second screen add is an Optix Exhaustion Screen.This screen looks at Optix indicators that might be displaying exhaustion based on the daily close and 10-day moving average.

Screen details:

  • Optix indicators with a 10-day moving average < 30 and that day’s Optix value is < 20.These are highlighted in Green.
  • Optix indicators with a 10-day moving average > 70 and that day’s Optix value is > 80. These are are highlighted in Red.

The screen results for April 13 2017 is shown in Figure 2.

Optix Exhaustion Screen

Figure 2: Optix Exhaustion Screen


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